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Fabio Mercurio Global head of Quantitative Analytics Bloomberg

Duration: 9 hours June 21 10:00 am - 2:30 pm June 22 10:00 am - 2:30 pm

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU and a former CME risk committee member. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

PROGRAM: RIO SANTIAGO CARRILLO (PARTE I): 1. From the old to the new world

5. Building a multi-curve interest rate model

1.1. Market data at a glance

5.1. The deterministic basis case

1.2. A simple credit model explaining a non-zero

5.2. Modeling stochastic basis

basis 1.3. The market practice of multi-curve modeling

6. A general recipe for multi-curve modeling 6.1. Defining a general recipe

2. Definitions in the new world 2.1. Forward rates 2.2. Forward basis spreads

6.2. Example I: a multi-tenor multi-curve LMM 6.3. Example II: an extended Gaussian short-rate model

2.3. FRAs and futures 7. The cross-currency case 3. Building multiple curves 3.1. The OIS curve 3.2. Forward LIBOR curves 3.3. CSA curves 4. The new market formulas 4.1. Interest rate swaps 4.2. Caps and floors 4.3. Swaptions

7.1. Pricing deals with collateral in another currency 7.2. Pricing cross-currency basis options

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Multi-curve Fixed Income Modeling 2018 Ing  
Multi-curve Fixed Income Modeling 2018 Ing